Minimax mean-variance models for fuzzy portfolio selection

被引：24
|
作者：
Huang, Xiaoxia [1 ]
机构：
[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China
来源：
SOFT COMPUTING | 2011年 / 15卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Fuzzy portfolio selection; Minimax model; Portfolio optimization; Fuzzy programming; Investment analysis;
D O I：
10.1007/s00500-010-0654-3
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented.
引用
收藏
页码：251 / 260
页数：10
相关论文
共 50 条
  • [1] Minimax mean-variance models for fuzzy portfolio selection
    Xiaoxia Huang
    [J]. Soft Computing, 2011, 15 : 251 - 260
  • [2] Uncertain minimax mean-variance and mean-semivariance models for portfolio selection
    Zhou, Xiaoguang
    He, Xin
    Huang, Xiaoxia
    [J]. JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2022, 43 (04) : 4723 - 4740
  • [3] Mean-variance models for portfolio selection with fuzzy random returns
    Hao F.-F.
    Liu Y.-K.
    [J]. Journal of Applied Mathematics and Computing, 2009, 30 (1-2) : 9 - 38
  • [4] Portfolio Selection via Fuzzy Mean-Variance Model
    Borovicka, Adam
    [J]. 38TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2020), 2020, : 59 - 65
  • [5] ON MEAN-VARIANCE PORTFOLIO SELECTION
    SCHNABEL, JA
    [J]. MANAGERIAL AND DECISION ECONOMICS, 1984, 5 (01) : 3 - 6
  • [6] Two Possibilistic Mean-Variance Models for Portfolio Selection
    Chen, Wei
    [J]. FUZZY INFORMATION AND ENGINEERING, VOLUME 2, 2009, 62 : 1035 - 1044
  • [7] Several Extended Mean-variance Fuzzy Portfolio Selection Models Based on Possibility Theory
    Ramli, Suhailywati
    Jaaman, Saiful Hafizah
    [J]. 14TH INTERNATIONAL SYMPOSIUM ON GEOMETRIC FUNCTION THEORY AND APPLICATIONS, 2019, 1212
  • [8] Optimal mean-variance portfolio selection
    Pedersen, Jesper Lund
    Peskir, Goran
    [J]. MATHEMATICS AND FINANCIAL ECONOMICS, 2017, 11 (02) : 137 - 160
  • [9] Behavioral mean-variance portfolio selection
    Bi, Junna
    Jin, Hanging
    Meng, Qingbin
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 271 (02) : 644 - 663
  • [10] Optimal mean-variance portfolio selection
    Jesper Lund Pedersen
    Goran Peskir
    [J]. Mathematics and Financial Economics, 2017, 11 : 137 - 160
12345